Bessel-Debiased Pseudo-Marginal MCMC for Generalised Bayesian Inference

Yingkai Lu, Jeong Eun Lee, Geoff K. Nicholls

Generalised Bayesian inference uses weights of the form $\exp \{-{\beta }_n{\ell }_n(\theta )\}$ even when the loss is only estimated. Exponentiating an unbiased loss estimate changes the target, a…